Anyone with extensive knowledge of Standard Portfolio Analysis of Risk (SPAN) as concerns Futures/Options and margining? Please let me know how I can get in touch. I have a couple of things I need insights on. Thanks!
I don’t know about extensive, but what is the question?
Here is a description, if you need one. http://18.104.22.168/search?q=cache:lmRl6ZL-Fs4J:www.wjammer.com/jac/handbook/chapter11.pdf+SPAN+risk&hl=en&ct=clnk&cd=6&gl=us
Thx! My qn is this - How easy would it be to model ( manually on Excel or Access) the margining per SPAN? I am trying to develop a very basic model (very quickly and manual for now) – nothing to write home about- to mimic actual I. Margin on a given trading day. And I am having issues or perhaps a brain- lock trying to blend in the different components of SPAN into it. Has anyone successfully modeled this?
I’m sure that with some reasonable amount of work, I could recreate SPAN. However, PC-Span costs $500 and will give you exact margin requirements. I can’t really imagine a situation in which knowing offsetting margin requirements is important but you can’t afford $500 for the software that tells you what the requirements are going to be. Either you don’t need to know until they tell you, or you shell out the $500.
@ JoeyDVivre " I can’t really imagine a situation in which knowing offsetting margin requirements is important but you can’t afford $500 for the software that tells you what the requirements are going to be. " Lol! Nah - actually, this is for my own " academic " pursuits. I would love to be able to " think" like PC- Span…so if you have thoughts, throw them my way.